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一凡007 · 2024年10月19日

delta call为什么这里是大于0?

NO.PZ2023091802000145

问题如下:

A bank has sold USD 300,000 of call options on 100,000 equities. The equities trade at 50, the option strike price is 49, the maturity is in three months, volatility is 20%, and the interest rate is 5%. How does the bank delta-hedge?

选项:

A.

Buy 65,000 shares.

B.

Buy 100,000 shares.

C.

Buy 21,000 shares.

D.

Sell 100,000 shares.

解释:

This is an at-the-money option with a delta of about 0.5. Since the bank sold calls, it needs to delta-hedge by buying the shares. With a delta of 0.54, it would need to buy approximately 50,000 shares. Answer A is the closest. Note that most other information is superfluous.

sold call option不应该delta call小于0吗?

1 个答案

pzqa27 · 2024年10月21日

嗨,从没放弃的小努力你好:


嗯,您说的很对,银行的头寸是short call, 为了对冲,所以我们应该long stock ,因为long stock的delta是正的,刚好和short call的负 delta对冲掉。

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